Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 6 | 6 | 5 |
| Score | -0.03 | -0.3 | -0.3 |
| Market Cap (Millions USD) | 50114.39 | 49428.76 | 48567.27 |
| Predicted Beta | 2.06 | 2.11 | 2.09 |
| Idiosyncratic Volatility | 1.95 | 3.33 | 3.78 |
Annualized return and volatility
| IJH | |
|---|---|
| Annualized Return | 0.0925 |
| Annualized Std Dev | 0.2028 |
| Annualized Sharpe (Rf=0%) | 0.4559 |
Row
Daily Return Statistics
| IJH | |
|---|---|
| Observations | 5010.0000 |
| NAs | 104.0000 |
| Minimum | -0.1043 |
| Quartile 1 | -0.0056 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0069 |
| Maximum | 0.1063 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0128 |
| Skewness | -0.1511 |
| Kurtosis | 6.6669 |
Downside Risk
| IJH | |
|---|---|
| Semi Deviation | 0.0092 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0097 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.5506 |
| Historical VaR (95%) | -0.0200 |
| Historical ES (95%) | -0.0301 |
| Modified VaR (95%) | -0.0194 |
| Modified ES (95%) | -0.0328 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2010-12-02 | -0.5506 | 899 | 455 | 444 |
| 2002-04-18 | 2002-10-09 | 2003-10-13 | -0.3194 | 384 | 124 | 260 |
| 2011-05-02 | 2011-10-03 | 2012-03-19 | -0.2616 | 225 | 109 | 116 |
| 2000-09-08 | 2001-09-21 | 2002-03-19 | -0.2564 | 387 | 263 | 124 |
| 2018-08-30 | 2018-12-24 | 2019-11-25 | -0.2314 | 317 | 82 | 235 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IJH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 1.8 | 0.0 | 0.4 | 0.9 | 0.0 | 0.4 | 1.4 | 0 | 5.0 |
| 2001 | -0.1 | 0.1 | 0.0 | 0.9 | 1.3 | 0.0 | 0.9 | 0.0 | -2.1 | 1.5 | 0.0 | 0 | 2.5 |
| 2002 | -0.4 | 2.4 | 0.2 | 0.2 | 0.0 | -2.3 | -2.2 | 0.0 | 1.8 | 1.7 | 0.0 | 0 | 1.4 |
| 2003 | 0.0 | 0.0 | 0.5 | 0.1 | 0.0 | 0.7 | -0.8 | 0.0 | 2.4 | 0.0 | 1.5 | 0 | 4.4 |
| 2004 | 0.0 | 1.7 | 0.6 | 0.0 | 0.6 | -1.3 | 0.0 | 0.5 | 1.3 | 0.2 | 1.1 | 0 | 4.7 |
| 2005 | 0.8 | 1.0 | -0.1 | 0.0 | 0.9 | 0.9 | -0.1 | -0.5 | 0.0 | 1.0 | 1.4 | 0 | 5.3 |
| 2006 | 0.6 | 1.4 | 0.0 | -0.5 | 1.4 | 0.0 | -0.6 | 0.6 | 0.0 | -1.6 | -0.1 | 0 | 1.2 |
| 2007 | 0.9 | -0.3 | 0.0 | 0.3 | 0.6 | 0.0 | 0.7 | 0.0 | 1.1 | -2.3 | 0.0 | 0 | 0.9 |
| 2008 | 2.3 | 0.0 | 3.1 | 1.4 | 0.0 | 0.2 | -0.4 | 0.0 | -0.8 | 0.0 | -10.4 | 0 | -5.2 |
| 2009 | 0.0 | 0.0 | 1.5 | -0.1 | 3.3 | 0.9 | 0.0 | -2.0 | -3.1 | 0.0 | 1.4 | 0 | 1.8 |
| 2010 | 1.5 | 1.8 | 1.1 | 0.0 | -2.7 | -0.8 | 0.0 | 3.4 | 0.2 | -0.1 | 2.0 | 0 | 6.4 |
| 2011 | 1.5 | -1.6 | 0.7 | 0.0 | -2.5 | 1.7 | -0.5 | -1.6 | 0.0 | -3.1 | -0.6 | 0 | -5.9 |
| 2012 | 2.0 | 0.9 | 0.0 | 0.5 | -3.0 | 0.0 | -0.9 | 0.0 | -0.4 | 2.4 | 0.0 | 0 | 1.5 |
| 2013 | 0.8 | -0.2 | -1.0 | -1.8 | 0.0 | 1.3 | 2.0 | 0.0 | 1.3 | 0.2 | 0.0 | 0 | 2.7 |
| 2014 | 0.0 | 0.0 | 0.9 | 0.2 | 0.0 | 0.8 | 0.0 | 0.0 | -1.3 | 0.0 | -1.3 | 0 | -0.8 |
| 2015 | 0.0 | 0.0 | -0.3 | 0.8 | 0.2 | 0.3 | 0.0 | -2.8 | -0.2 | 0.0 | 0.8 | 0 | -1.4 |
| 2016 | -0.1 | 2.2 | 0.5 | 0.0 | 0.4 | 0.2 | -0.3 | 0.0 | 0.0 | -1.1 | -0.2 | 0 | 1.7 |
| 2017 | -0.3 | 1.7 | 0.0 | 0.4 | 1.6 | 0.0 | 0.3 | 0.4 | 0.0 | -0.2 | -0.2 | 0 | 3.6 |
| 2018 | 0.2 | -0.3 | 0.0 | 0.4 | 0.6 | 0.0 | -0.3 | 0.0 | -0.8 | 2.0 | 0.0 | 0 | 1.8 |
| 2019 | 0.3 | 0.8 | 1.4 | -1.1 | 0.0 | 0.3 | -1.6 | 0.0 | -1.9 | 1.5 | 0.0 | 0 | -0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
